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st: re:re:re:Re: panel data hausman negative


From   paula garcia <[email protected]>
To   [email protected]
Subject   st: re:re:re:Re: panel data hausman negative
Date   Wed, 1 Oct 2003 14:49:11 -0400

>On Wednesday, October 1, 2003, at 02:33 AM, Paula wrote:
    >> I have looked for the xthausman command, but stata 
      says "(help hausman for replacement)".
    >xthausman is described in the Stata 7 manuals [R] 
     xtreg, and appears in Stata 8 as well. Unless you're 
     using an earlier version of Stata, your 
     copy of Stata is incomplete. xthausman is implemented 
     as an ado-file.
    
    Kit
        

I have used the xthausman command, however, I am very surprised by some results. When I use whatever of the following alternatives:

        1)xtreg y x, fe
       est store fixed
       xtreg y x, re
       hausman fixed . 
        or
        2) xtreg y x, re
       estimates store random_effects
       xtreg y x, fe
       hausman . random_effects 
        or
        3) xtreg y x, fe
        hausman, save
        xtreg y x, re
        hausman

        I get always the same result:

         ---- Coefficients ----
     | (b) (B) (b-B) sqrt(diag(V_b-V_B))
     | Consistent Efficient Difference S.E.
    ------------- ----------------------------------------------------------------
     invl1 | 1.974847 1.860985 .1138621 .0419927
     desipoterl1 | .9808413 .5775732 .4032681 .1703565
     desliqotvl1 | 2.269129 -1.008472 3.277601 .7864388
     CPIBreal | .0036555 .0056068 -.0019513 .002446
     tendencia | .0000698 .0000947 -.0000249 .0000122
    ------------------------------------------------------------------------------
     b = consistent under Ho and Ha; obtained from xtreg
     B = inconsistent under Ha, efficient under Ho; obtained from xtreg
     Test: Ho: difference in coefficients not systematic
     chi2(4) = (b-B)'[(V_b-V_B)^(-1)](b-B)
     = -65.02 chi2<0 ==> model fitted on these
     data fails to meet the asymptotic
     assumptions of the Hausman test;
     see suest for a generalized test


This would tell me that I do not have enough information to reject the null, so I have to use random effects. However, if I use the xthausman command, I get:

. xthausman
(Warning:  xthausman is no longer a supported command; use -hausman-.  For instructions, see help hausman.)


Hausman specification test

                ---- Coefficients ----
             |      Fixed       Random
       nfond |    Effects      Effects       Difference
------------- -----------------------------------------
       invl1 |   1.974847     1.860985         .1138621
 desipoterl1 |   .9808413     .5775732         .4032681
 desliqotvl1 |   2.269129    -1.008472         3.277601
    CPIBreal |   .0036555     .0056068        -.0019513
   tendencia |   .0000698     .0000947        -.0000249

    Test:  Ho:  difference in coefficients not systematic

                 chi2(  5) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re)
                           =    18.01
                 Prob>chi2 =     0.0029

which tells me that I have to use fixed effects.

How is this possible?
Thank you very much,
Paula


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